Saratoga Futures Blog

Futures vs. ETFs 3/18/10

Jay L — Fri, 19 Mar 2010 18:06:17 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Product	Future	Volume	Factor*	ETF	Volume	Futures Liquidity Multiple
S&P 500	ES	1,819,642	500	SPY	196,509,040	4.6
NASDAQ 100	NQ	245,304	800	QQQQ	77,829,360	2.5
Russell 2000	TF	125,236	1000	IWM	71,535,096	1.8
Gold	GC	135,916	1000	GLD	13,853,486	9.8
Silver	SI	25,879	10000	SLV	7,119,583	36.3
Crude Oil	CL	590,837	1000	USO	7,573,982	78.0

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Electronic vs. Pit Volume 3/18/10

Jay L — Fri, 19 Mar 2010 18:05:42 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Product	Electronic Volume	Pit Volume	Percent Electronic of Total Volume
Crude Oil	590,837	39,457	94%
Natural Gas	334,485	34,822	91%
Corn	150,628	21,185	88%
Soybeans	87,627	12,400	88%
Wheat	58,476	2,206	96%
Live Cattle	33,787	20,227	63%
Lean Hogs	24,705	9,727	72%
COMEX Gold	135,916	8,593	94%
COMEX Silver	25,879	1,192	96%
COMEX Copper	22,357	1,201	95%

e-mini NDX Levels

Jay L — Fri, 19 Mar 2010 13:11:38 +0000

The June e-mini NDX (NQ) continued its move higher yesterday and traded to another contract highest close (1941.75, +7.75), but not a highest high (1942.75 vs. 1943.75). NQ has now advanced in 13 of the past 15 sessions. For the first 90 minutes of yesterday’s equity session, NQ traded +/- 3 points around the 1935.50 level and then that range expanded to +/- 5 points over the 2 hours that followed. For the final 3 hours, NQ did not test 1935.50 (1935.75 low) and it closed at the high. There was no test of the trendline again yesterday (about 1927.5, 1928.1 today), but the close was more than 10 points above the line, so we now look for a move to the 1972.25 level. Overnight trading has NQ at new contract highs (1946.75 high) ahead of today’s quadruple witching. Support @ 1935.50, 1916.75, 1900.50, 1884.50 and 1872. Resistance @ 1944, 1961.50, 1972.25 and 1997.25.

Chart Source: TradeStation

e-mini S&P Levels

Jay L — Fri, 19 Mar 2010 12:28:25 +0000

The June E-Mini S&P (ES) traded in a tight 67 bps range yesterday and closed 1161.25, up 0.25 and still below the 1161.75 level. So since the 10.25 point decline on 2/23, ES has advanced in 15 of the 17 sessions with a total decline of 2 points on the 2 down days (-1.25 on 2/25, -0.75 on 3/15). ES came close (1163.25 high, 1164 high on the day) to a test of the trendline early in yesterday’s equity session (1163.50, about 1164.3 today) and found resistance at the 1161.75 level for the first 2 hours, The midday dip took ES down to 1156.25 before it reversed back up to test 1161.75 for the final 40 minutes. Overnight trading has been within a 3 point range (26 bps) ahead of today’s quadruple witching. We’ll continue to watch 1161.75 and the trendline. A close above the trendline (by at least 50 bps) and 1181 looks likely. Support @ 1151.75, 1145.50, 1133.50, 1121.50, 1114.50, 1108 and 1094. Resistance @ 1161.75, 1171, 1181, 1196, 1208.50 and 1236.

Chart Source: TradeStation

Futures vs. ETFs 3/17/10

Jay L — Thu, 18 Mar 2010 19:17:24 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Product	Future	Volume	Factor*	ETF	Volume	Futures Liquidity Multiple
S&P 500	ES	2,421,517	500	SPY	177,468,080	6.8
NASDAQ 100	NQ	335,626	800	QQQQ	75,643,456	3.5
Russell 2000	TF	120,499	1000	IWM	53,591,400	2.2
Gold	GC	147,244	1000	GLD	13,784,691	10.7
Silver	SI	25,532	10000	SLV	6,403,788	39.9
Crude Oil	CL	604,452	1000	USO	12,552,851	48.2

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Electronic vs. Pit Volume 3/17/10

Jay L — Thu, 18 Mar 2010 19:17:03 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Product	Electronic Volume	Pit Volume	Percent Electronic of Total Volume
Crude Oil	604,452	47,502	93%
Natural Gas	156,632	21,572	88%
Corn	139,107	19,674	88%
Soybeans	99,615	11,243	88%
Wheat	57,069	1,860	97%
Live Cattle	25,572	15,420	62%
Lean Hogs	18,560	6,579	74%
COMEX Gold	147,244	9,738	94%
COMEX Silver	25,532	373	99%
COMEX Copper	25,156	888	97%

Futures vs. ETFs 3/16/10

Jay L — Thu, 18 Mar 2010 19:07:58 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Product	Future	Volume	Factor*	ETF	Volume	Futures Liquidity Multiple
S&P 500	ES	2,544,902	500	SPY	168,672,992	7.5
NASDAQ 100	NQ	341,081	800	QQQQ	74,950,592	3.6
Russell 2000	TF	112,413	1000	IWM	52,878,112	2.1
Gold	GC	156,353	1000	GLD	17,754,514	8.8
Silver	SI	28,910	10000	SLV	8,699,428	33.2
Crude Oil	CL	621,668	1000	USO	12,765,233	48.7

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Electronic vs. Pit Volume 3/16/10

Jay L — Thu, 18 Mar 2010 19:06:48 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Product	Electronic Volume	Pit Volume	Percent Electronic of Total Volume
Crude Oil	621,668	33,524	95%
Natural Gas	208,449	30,060	87%
Corn	108,404	14,031	89%
Soybeans	93,726	18,087	89%
Wheat	43,738	1,717	96%
Live Cattle	25,832	18,272	59%
Lean Hogs	21,666	7,803	74%
COMEX Gold	156,353	10,061	94%
COMEX Silver	28,910	2,421	92%
COMEX Copper	28,691	2,307	93%

Futures vs. ETFs 3/15/10

Jay L — Thu, 18 Mar 2010 18:43:34 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Product	Future	Volume	Factor*	ETF	Volume	Futures Liquidity Multiple
S&P 500	ES	2,236,702	500	SPY	146,816,800	7.6
NASDAQ 100	NQ	351,403	800	QQQQ	60,150,420	4.7
Russell 2000	TF	115,896	1000	IWM	49,874,268	2.3
Gold	GC	158,362	1000	GLD	7,700,873	20.6
Silver	SI	19,383	10000	SLV	4,834,234	40.1
Crude Oil	CL	510,016	1000	USO	9,729,155	52.4

* Factor - the number of ETF shares that are approximately equivalent in notional value to the notional value of one futures contract

Electronic vs. Pit Volume 3/15/10

Jay L — Thu, 18 Mar 2010 18:42:54 +0000

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Product	Electronic Volume	Pit Volume	Percent Electronic of Total Volume
Crude Oil	510,016	35,588	93%
Natural Gas	185,640	19,037	91%
Corn	108,791	14,437	88%
Soybeans	78,684	11,968	88%
Wheat	29,962	1,712	95%
Live Cattle	30,145	17,404	63%
Lean Hogs	14,591	7,753	65%
COMEX Gold	158,362	20,134	89%
COMEX Silver	19,383	343	98%
COMEX Copper	26,629	937	97%